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Discrete Time Markov Reward Processes a Motor Car Insurance Example
Università “G. D’Annunzio” di Chieti, Dip. di Scienze del Farmaco, via dei Vestini, Chieti, Italy
Jacan &, EURIA, Université de Bretagne Occidentale, 6 avenue le Gorgeu, Brest, France
Università “La Sapienza”, Dip. di Matematica per le Decisioni Economiche, Finanziarie ed Assicurative, via del Castro Laurenziano, Roma, Italy
- 1 Università “G. D’Annunzio” di Chieti, Dip. di Scienze del Farmaco, via dei Vestini, Chieti, Italy
- 2 Jacan &, EURIA, Université de Bretagne Occidentale, 6 avenue le Gorgeu, Brest, France
- 3 Università “La Sapienza”, Dip. di Matematica per le Decisioni Economiche, Finanziarie ed Assicurative, via del Castro Laurenziano, Roma, Italy
Technology and Investment·Volume 01 (2010)·Pages 135–142·Published 25 May 2010·DOI10.4236/ti.2010.12016
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Abstract
In this paper, a full treatment of homogeneous discrete time Markov reward processes is presented. The higher order moments of the homogeneous reward process are determined. In the last part of the paper, an application to the bonus-malus car insurance is presented. The application was constructed using real data.
KeywordsMarkov Rewards ProcessesHigher Order MomentsBonus-Malus Systems
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